Event Date:
Event Location:
- HSSB 1173 and Zoom
- Department Seminar
Zoom Link: https://ucsb.zoom.us/j/82189331655
Title: Transform MCMC schemes for sampling intractable factor copula models
Abstract: In financial risk management, modelling dependency within a random vector X is crucial, a standard approach is the use of a copula model. Say the copula model can be sampled through realizations of Y having copula function C: had the marginals of Y been known, sampling Xi, the i-th component of X, would directly follow by composing Yi with its cumulative distribution function (c.d.f.) and the inverse c.d.f. of Xi. In this work, the marginals of Y are not explicit, as in a factor copula model. We design an algorithm which samples X through an empirical approximation of the c.d.f. of the Y marginals. To be able to handle complex distributions for Y or rare-event computations, we allow Markov Chain Monte Carlo (MCMC) samplers. We establish convergence results whose rates depend on the tails of X, Y and the Lyapunov function of the MCMC sampler. We present numerical experiments confirming the convergence rates and also revisit a real data analysis from financial risk management.
Bio: Dr. Targino is an Assistant Professor in Statistics at the School of Applied Mathematics (EMAp), at the Getulio Vargas Foundation (FGV), in Brazil. Since September 2022, he is a Visiting Associate Professor at the Department of Statistics and Applied Probability at the University of California, Santa Barbara (UCSB). He is also an Associate Editor of the Brazilian Review of Finance (RBFin). His research interest lies in the intersection of Bayesian statistical methods and risk management in Actuarial Sciences and Finance. He holds a PhD in Statistics from the University College London (UCL, 2016) and a BSc in Applied Mathematics (2008) and a MSc in Statistics (2010), both from Federal University of Rio de Janeiro, Brazil. From 2010 to 2012, he worked at the financial industry in Brazil, first as a Credit Risk Modelling Analyst at Itaú-Unibanco Bank and then as a Market Risk Analyst at Credit-Suisse Hedging-Griffo.
